Anything that burns will provide some heat, it will also provide some exhaust.
At today's prices you can save a dollar per gallon by using ethanol over home heating oil. The problem is that you really shouldn't care about price per gallon, you should care about price per amount of energy released.
Heating oil is about 141 Mega-Joules per gallon.
Ethanol is about 70 Mega-Joules per gallon.
At $3.60 / gallon for heating oil, it is a bargain compared to $2.72 for ethanol, because you would need to buy two gallons to equal the amount of theoretical heat available in one gallon of heating oil.
$3.60 for ~141 MegaJoules of heating oil (1 gallon)
$5.44 for ~139 MegaJoules of ethanol (2 gallons)
It is not a fuel with a high energy capacity, so you'll need a lot of it. Cheap sources are not very pure, and are poisoned (to prevent sales on the alcohol market) that means that "burns cleanly" isn't going to apply unless you want even more expensive forms of ethanol.
Partial by-products found naturally in ethanol combustion are very damaging to certain plastics (and are generally acidic), making installation costs higher (or hiding those costs in future repair bills).
It makes sense in some places, but in home heating it's not a winning choice unless other factors increase the costs of more mundane solutions.